US TSYS LOWER; AWAIT TRUMP NEWS ON FED CHR PICK;YELLEN MTG THU

     US TSYS SUMMARY: Tsys ended Wed lower after choppy morning trade then

quieter range with varied curve trades, front end sales, 10Y futures sales, then

some front end dip buying. Thu is Fed Chr Yellen meeting with Pres Trump; time

not known; may be published 11pm ET Wed on White House meeting schedule. Yellen

is last of 5 final Fed Chr potentls to meet/interview with Trump about such

post. 

- Tsys began weaker then NY Fed Dudley said "no reason" US expansion has to end

of old age, said Fed to hike 3x in 2017. Heavy TYZ 10Y futures selling: 50K+

sold from 125-02.5 to 125-01.5. Stops hit on downturn, longs exit. Fast/real$

sellers in 5-30s, insur. portf sales in 10Y, 30Y; flattener unwinds too. Earlier

mild FX-tied sales in Tsys as $ rose. Moderate high-grade corporate bond

issuance. 

- Eurodlr optn: 1:37pm ET block sale of 13,550 Blue Jun 73/76 put sprds, 9.5 vs

97.64p; adds to 75K sold in pit earlier. (125K sold since Oct6: maybe the

rolldown long leg 76/80 3x2 put spd macro fnd sold mid-Sep. 

- SWAPS: Tighter, receiving/payer unwind 5s,7s,10s. 

- TSYS 3pm ET:2y 1.563%,3Y 1.703%, 5Y 1.987%, 7Y 2.188%, 10Y 2.339%, 30Y 2.851%

US TSY FUTURES CLOSE: Broadly lower by the bell, off lows with long end

underperforming amid rather muted volume (TYZ < 1M futures) despite heavy

selling in TYZ late morning w/over 50k sold from 125-02.5 to 125-01.5. Stops

triggered on latest downturn, longs throwing in the towel. Current futures

levels: 

* Dec Ultra bonds down 1-16/32 at 165-12 (164-31L/166-30H) 

* Dec 30-yr Bond futures down 1-2/32 at 153-00 (152-25L/154-03H) 

* Dec 10-yr futures down 10/32 at 125-04 (125-01.5L/125-14H) 

* Dec 5-yr futures down 4.75/32 at 117-06.25 (117-05L/117-11H) 

* Dec 2-yr futures down .5/32 at 107-22 (107-21L/107-22.5H)

US EURODLR FUTURES CLOSE: Steady in the short end to progressively lower out the

strip, off session lows on modest volume. Decent option-tied hedging in

Reds-Greens, short end rebounds off lows amid ongoing Fed chair replacement

chatter (Tue's Taylor effect sell-off cooling as Yellen remains in the running

-- surging 20% from Tues to 38%, close second to Powell at 44% according to

PredictIt. Current White pack (Dec'17-Sep'18): 

* Dec'17 +0.000 at 98.490 

* Mar'18 +0.000 at 98.350 

* Jun'18 +0.000 at 98.235 

* Sep'18 -0.005 at 98.145 

* Red pack (Dec'18-Sep'19) steady to -0.015 

* Green pack (Dec'19-Sep'20) -0.025-0.030 

* Blue pack (Dec'20-Sep'21) -0.035-0.040 

* Gold pack (Dec'21-Sep'22) -0.040-0.045

US SWAPS: Spds running tighter by the bell, off midday lows in the short end

amid decent pick-up in deal-tied flow (RBS, UNH, GS supply, Rep Ecuador 10Y).

Front end slipped to session lows around noon amid flurry of receiving in 5s, 7s

and 10s, with some 2s10s spd curve flattener unwinds on the follow. Earlier rate

receiving in 2s and 5s. OTC vol mildly higher/off highs as curve steepening

sell-off rebounded in the second half. Heavy exchange traded option volume, put

driven w/outright buying and position rolling. Latest spread levels: 

* 2Y -0.88/25.00 

* 5Y -0.25/8.38 

* 10Y -0.62/-2.38 

* 30Y -0.88/-30.38

OUTLOOK: *** Data/speaker calendar (prior, estimate):

- Oct 19 14-Oct jobless claims (243k, 240k) 0830ET

- Oct 19 Oct Philadelphia Fed Mfg Index (23.8, 21.0) 0830ET

- Oct 19 KC Fed George on US Eco "Rural and Urban Growth", Ok, Q&A, 0930ET

- Oct 19 15-Oct Bloomberg comfort index 0945ET

- Oct 19 Sep Leading Indicators (+0.4%, 0.1%) 1000ET

- Oct 19 13-Oct natural gas stocks w/w (+87 Bcf, --) 1030ET

- Oct 19 US Tsy $5.0B 30-Year TIPS reopening auction 1300ET

- Oct 19 18-Oct Fed weekly securities holdings 1630ET

Eurodollar/Treasury option summary

Eurodollar options

* Block +30,000 short Nov 81/82/83 call flys, 1.5

* Block -13,000 short Dec 80 puts, 6.0 vs. 98.045/0.30%

* Block -13,550 Blue Jun 73/76 put spds, 9.5 vs. 97.64, adds to -75k sold in pit

* Block 5,000 short Jan 77/78 2x1 put spds, 3.5

* Block 5,000 short Dec 81/82 1x2 call spds, 1.0

Pit/screen:

* -75,000 Blue Jun 73/76 put spds, 9.5 vs. 97.64/0.15%, makes appr -125k sold

since Oct 6 -- apparently rolling down long leg of a 76/80 3x2 put spd the macro

fund sold back in mid-September (15.0 cr). Implied vol remains low despite

better put buying (dubbed Taylor-put now) and roll-down as market adjusts for

increased rate hikes being priced into underlying. Note, while chances of hike

Dec 13 FOM hold around 81.7%, chance of hike at March 21 FOMC climbs to 47.2%

and the Jun 13 FOMC chance of hike is now up to 21.1%.

* Total of -100,000 Sep 81/82 put spds sold 7.0 vs. 98.13/0.14. Trade

background,

looks to be partially profit taking after couple shops bought spd in good size

from 2.5 to 3.5 back in mid June (after selling the Sep 77/81 put spd vs. the

76/82 and 80/82 put spds on ratio in good size - in other words, will need to

see how open interest adjusts on tomorrow's volume report from the CME).

* -20,000 Red Dec'18 76/78 put spds sold at 6.5

* 10,000 Red Dec'18 80 puts, 16.5 vs. 98.04/0.46%

* 5,000 Red Sep'19 73/76 2x1 put spds, 3.5 cr

* -28,000 Dec 81/82/83/85 put condors, 4.5

* -10,000 Jun 81/82 put spds, 6.0

* -2,000 Dec 85 straddles trading 8.0

* 11,000 Green Dec 77 puts, 7.0

* 1,700 Green Dec 72/76/77 put flys

* +6,000 Dec 82 puts, cab

* +6,000 Red Dec18 76/78 2x1 put spds, 1.5

* +5,000 short Nov 81 puts, 1.0

* -5,000 short Nov 77/78 2x1 put spds, 0.5

* -5,000 Green Dec 78/80 call spds, 0.5

* +5,000 Green Dec 75 puts, 2.0

* +2,000 Green Sep 81 straddles, 60.0

* -2,000 Mar 83/Jun 82 straddle strip, 38.5

* 5,000 Dec 83/85 put spds vs. short Mar 78/80 put spd, 1.25 net debit/steepener

* -5,000 Green Nov 77/78/80 put tree w/Green Nov 76/78/81 put fly, 14.5 total cr

* -4,000 Feb 81/82 2x1 put spds, 1.25

* +10,000 Blue Dec 75 puts, 4.0

* +20,000 Red Dec'18 80 puts, 16.5 vs. 98.04/0.46%

* 6,500 Red Dec'18 78/78 put spds, 6.5 vs. 98.04

* 5,000 short Jun 87 calls, 1.5 vs. 97.96/0.10%

* -2,500 short Dec 80 puts, 6.0 vs. 98.05

Tsy options

Pit/screen:

* +8,000 TYZ 123/124.5 put spds, 17/64 vs. 125-05/0.15%

* +6,000 TYZ 124.5 puts, 23/64 vs. -8,500 TYX 125 puts, 16/64 earlier

* 3,500 TYZ 123.5/124.5/125.5 put flys, 14/64

* 4,000 TYZ 123.5/124.5 put spds, 13/64

* 2,500 TUZ 107.6/107.7/107.8/108 put condors

* 2,500 FVZ 115.5/119.25 strangles

* 10,000 FVX 1189.5 calls, .5/64

* +3,000 wk2 FV 117.5/118/118.5 call trees 4.5- to 5/64 vs.

* -9,000 FVX 118 calls, 1/64

--MNI New York Bureau; tel: +1 212-669-6432; email: sheila.mullan@marketnews.com

[TOPICS: MTABLE,MNUEQ$,M$U$$$,MR$$$$,M$$FI$,MN$FI$]